Like many aspects of Calibre you can do it any number of ways and no-one can argue definitively that one is better than the other
For standalone short stories, I add a tag of "Short" to whatever other tags it may have like Science Fiction etc. If it is related to a series, I add it with a sequence of .1, .2 etc in the appropriate place. I don't bother with custom columns etc.
If the book is instead an anthology covering multiple authors - well quite frankly it is a pita to try to categorise as you have found. It could cover multiple genres, multiple authors, multiple series etc. So I just give it an Anthology tag and don't bother with any of the rest of the issues. If I really cared about a short story from within it appearing in a series I might make a copy using Sigil to have a separate book with just that story in it to manage as per the above.